About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Calypso Introduces Software Update for North American CDS Big Bang

Subscribe to our newsletter

In line with the rest of the vendor community, derivatives and risk management solution provider Calypso Technology has updated its solutions to accommodate the credit default swap (CDS) ‘big bang’ being led by the International Swaps and Derivatives Association (ISDA). Tomorrow, the new Standard North American Corporate (SNAC) CDS contract convention comes into force, which transforms single name CDS trades into financial instruments with trading, quoting and settlement characteristics similar to those of bonds and CDS indices.

“By providing clients with the required functionality in advance of the Big Bang event, the Calypso software is designed to enable Calypso clients to input their trades in a clean, persistent manner, as opposed to resorting to deploying workarounds that might be difficult to migrate to future versions of our software,” says Shailendra Methi, senior product manager at Calypso Technology.

According to Calypso, the software update includes all areas of credit trading including trade capture, pricing, market data, risk analysis, settlement and clearing. This encompasses the calculation of upfront fees using the ISDA standard model and the introduction of an interface with Markit to automatically update yield curves on a daily basis. It also allows users to unwind by specifying whether a conventional spread or upfront is required. With regards to risk analysis, the updated software means names are converted to to conventional spread and upfront for comparative purposes.

The new convention will mean that investment grade names will trade with a fixed coupon of 100bps and high yield names will trade with a fixed coupon of 500bps. Methi adds: “The creation of fungible CDS trades is a crucial step toward efforts to standardise the CDS market, institute central counterparty clearing for credit derivatives and help clean up systemic risk.”

Calypso’s competition has also been busy in the run up to the changes and upgrades have been made by a number of players over the last month or so, including Quantifi, CME Group-owned Credit Market Analysis (CMA), RiskVal and Markit.

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: Strategies and solutions for unlocking value from unstructured data

Unstructured data accounts for a growing proportion of the information that capital markets participants are using in their day-to-day operations. Technology – especially generative artificial intelligence (GenAI) – is enabling organisations to prise crucial insights from sources – such as social media posts, news articles and sustainability and company reports – that were all but...

BLOG

Being Prepared for Tomorrow Requires an Advanced Data Architecture Today

By Don Huff, Global Head of Client Services and Operations, Bloomberg and Maureen Gallagher, Head of Enterprise Reference Data, Bloomberg. Data has quickly become the hottest commodity in the financial sector: trading and investment teams are laser-focused on accessing the best, newest data to get an edge on the competition. While this arms race for...

EVENT

AI in Capital Markets Summit New York

The AI in Capital Markets Summit will explore current and emerging trends in AI, the potential of Generative AI and LLMs and how AI can be applied for efficiencies and business value across a number of use cases, in the front and back office of financial institutions. The agenda will explore the risks and challenges of adopting AI and the foundational technologies and data management capabilities that underpin successful deployment.

GUIDE

AI in Capital Markets: Practical Insight for a Transforming Industry – Free Handbook

AI is no longer on the horizon – it’s embedded in the infrastructure of modern capital markets. But separating real impact from inflated promises requires a grounded, practical understanding. The AI in Capital Markets Handbook 2025 provides exactly that. Designed for data-driven professionals across the trade life-cycle, compliance, infrastructure, and strategy, this handbook goes beyond...